<abstract xmlns="http://www.w3.org/1999/xhtml"><p> The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of return. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in 2006- 2013 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.</p></abstract>

The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of return. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in 2006- 2013 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.

Different Variants of Fundamental Portfolio

Szczecin University Faculty of Economics and Management Mickiewicza 64, 71-101 Szczecin, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Different Variants of Fundamental Portfolio"}

The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental...

Different Variants of Fundamental Portfolio

Publicado en línea: 11 dic 2014

Páginas: 47 - 62

Recibido: 25 nov 2013

Aceptado: 05 jun 2014

DOI: https://doi.org/10.2478/foli-2014-0104

Palabras clave
fundamental portfolio, portfolio analysis, stock exchange

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Different Variants of Fundamental Portfolio

Publicado en línea: 11 dic 2014

Páginas: 47 - 62

Recibido: 25 nov 2013

Aceptado: 05 jun 2014

DOI: https://doi.org/10.2478/foli-2014-0104

Palabras clavefundamental portfolio, portfolio analysis, stock exchange

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Palabras clave
fundamental portfolio, portfolio analysis, stock exchange